public static void DisplayInExcel(this ITwoFactorPayoff payoffStrategy, Range <double> r1, Range <double> r2, int N1, int N2)
{ // Display the discrete payoff matrix in Excel
NumericMatrix <double> matrix = PayoffMatrix(payoffStrategy, r1, r2, N1, N2);
Vector <double> xarr = r1.mesh(N1);
Vector <double> yarr = r2.mesh(N2);
// Display in Excel
// public void printMatrixInExcel<T>( NumericMatrix<T> matrix, Vector<T> xarr, Vector<T> yarr, string SheetName )
ExcelMechanisms driver = new ExcelMechanisms();
string title = "Payoff function";
driver.printMatrixInExcel <double>(matrix, xarr, yarr, title);
}
{ // Define new methods for class Option here
public static NumericMatrix <double> PayoffMatrix(this ITwoFactorPayoff payoffStrategy, Range <double> r1, Range <double> r2, int N1, int N2)
{ // Compute the discrete payoff matrix, in the closed range r1 X r2
NumericMatrix <double> result = new NumericMatrix <double>(N1 + 1, N2 + 1);
// Create the mesh point in the x and directions
Vector <double> xarr = r1.mesh(N1);
Vector <double> yarr = r2.mesh(N2);
for (int i = result.MinRowIndex; i <= result.MaxRowIndex; i++)
{
for (int j = result.MinColumnIndex; j <= result.MaxColumnIndex; j++)
{
result[i, j] = payoffStrategy.payoff(xarr[i], yarr[j]);
}
}
// Create the mesh point in the x and directions
return(result);
}
